Deliver the Amulet

So, you've decided to play the main story. Your first task now that you're outside of the sewers is to deliver the amulet to Jauffre at Weynon Priory. Travel to Chorral and look to the southeast to find Weynon Priory. Locate Weynon House and go upstairs. Jauffre is sitting behind the desk to the right at the top of the stairs. Give him the amulet and wait as he interogates you and then gives you background information.

Note: The first quest in the game requires that you fight alongside various AI controlled teammates. The enemies in Oblivion scale to your character's level however your teammates do not. For this reason if you level up your character before starting the main quest the enemies will be tougher and will completely kick the crap out of accompanying friendlies. This can make the first quests extremely difficult.